Senior Consultant - Market Risk Analytics - Bank

Role: Market Risk Analytics

- Understanding of risk management concepts such as VaR (value-at-risk), Stress tests, Incremental Risk Charge for credit products, hypothetical back-testing and the risk representation of various portfolios.

- Deep analysis of various risk types (delta, vega, and curvature) across multiple asset classes like Equity, FX, GIRR, Credit, etc. covered under the sensitivities based approach of FRTB-Standard rulesKnowledge of Greeks, Monte carlo process and Statistics, Time series modelling

- Test and sign off results (desk, business, asset class) produced by the Banks internal Risk/FO engines

- Understand and be able to explain differences between Monte Carlo and HS FR results

- Assist in various FRTB relevant calculation exercises such as QIS and other internal requests Provide support and analytical skills to assist in the completion of various FRTB relevant calculation exercises such as QIS and other internal impact assessments on an ongoing basis.

- Assist in other external requested exercises such as ISDA/GARP, local regulators and Knowledge of regulatory capital guidelines related to BASEL, FRTB, IBOR etc

- Document calculation approaches and results including input, calculation assumptions, outputs, explanation of delta changes etc.

- Develop necessary tools to facilitate more efficient analysis of risk

- Relevant experience in Risk Management and / or in quantitative modeling

- The candidate needs to be familiar with statistical techniques viz. Regressions Analysis, Hypothesis testing, Time-series modeling, Volatility modeling etc

- Strong quantitative and analytical skills and ability to work with diverse cultures in a global team

- Excellent communication and presentation skills in English, both written and spoken

- Ability to work under pressure and cope with a fast moving environment.

Programming Languages:

- Degree in Engineering / Statistics / Econometrics (B.Tech., M.Tech, MS)

- Knowledge and experience of using statistical packages for research (Matlab, R, Stata, SQL, R, Python, etc)

- Experience with databases / VBA / MS-Office a plus, Model Risk development background

- Desirable Qualifications - CFA/FRM is an advantage